It's clear it's not straightforward to play them outside the app where they were downloaded, but it'd be nice to understand in details what it takes to be able to do that, so it's easy to understand whether it's secure enough or not for any specific situation.

The files are not encrypted by default, so they just contain the plain media data. They may not be playable as they are, depending on which part of the data the file actually represents. But if someone puts some effort into piecing the right .exo files together, they should be able to play them.

Note that there is an option to encrypt files as explained here.

AFAIK, there used to be an easy way to encrypt cache files with SimpleCache, but that doesn't work anymore with the new database cache index. It'd also be interesting to understand if we don't need that anymore (since the database stays in the app internal storage instead of alongside the media pieces -- which is how the old index worked, I think?) or if there are plans to support this in the future.

My understanding is that the database is stored in internal device storage and no other app has access to this storage. That still means of course that rooted devices for example may have access to the database. Note that you should still be able to encrypt the media data files themselves even if the index is stored in a database.

A simple documentation page (or maybe a new section in the Downloading media page) explaining the security implications of working with the .exo files would be great.

Agreed. @andrewlewis already marked this as a documentation candidate. So we will probably look into adding this to our web page at some point.

@tonihei are you still looking into adding this to your web page at some point? I'd just like to know if this is still in your plans.

Yes, no worries, it's just that we usually close issues if the only remaining task is the "documentation candidate" label. That's because there is no immediate pressing action for us.